第08章有无卖空限制下的有效边界(德意志银行Excel金融工程建模)

习题答案股票代码年预期收益率 年标准差6006010.20970.70476006020.09180.63136006030.23330.64796006040.20440.76346006510.35390.64506006520.34550.66046006530.26920.66466006540.08790.7213相关系数矩阵6006016006026006036006046006516006011.000.560.620.430.666006020.561.000.620.600.626006030.620.621.000.700.716006040.430.600.701.000.526006510.660.620.710.521.006006520.610.590.650.480.756006530.580.600.680.560.696006540.640.590.600.470.68协方差矩阵6006016006026006036006046006516006010.500.250.280.230.306006020.250.400.250.290.256006030.280.250.420.350.306006040.230.290.350.580.266006510.300.250.300.260.426006520.290.250.280.240.326006530.270.250.290.290.296006540.320.270.280.260.32等权重组合的协方差矩阵600601600602600603600604600651权重0.12500.12500.12500.12500.12500.12500.00780.00390.00440.00360.00470.12500.00390.00620.00400.00450.00390.12500.00440.00400.00660.00540.00470.12500.00360.00450.00540.00910.00400.12500.00470.00390.00470.00400.00650.12500.00450.00390.00430.00380.00500.12500.00420.00390.00460.00450.00460.12500.00510.00420.00440.00410.004910.03810.03460.03830.03890.0383组合的方差0.3040组合的标准差 0.5514组合的均值0.2245给定预期收益率的协方差矩阵 600601600602600603600604600651权重0.11760.26920.11910.07100.13960.11760.00690.00790.00390.00190.00490.26920.00790.02890.00810.00560.00940.11910.00390.00810.00600.00290.00500.07100.00190.00560.00290.00290.00250.13960.00490.00940.00500.00250.00810.14720.00490.00980.00490.00250.00660.11360.00360.00770.00400.00230.00470.02270.00090.00170.00080.00040.001010.03500.07910.03550.02110.0422组合的方差0.2981组合的标准差 0.5460组合的均值0.2245对于不同预期收益率水平各股票的最优权重权重预期收益率 标准差6006016006026006036006040.8000不可行不可行不可行不可行不可行0.08790.72130.0000(0.0000)0.00000.00000.10000.58610.03460.61270.02530.01570.12000.57010.08480.53040.10020.03420.14000.55920.11160.46070.12900.04180.16000.55230.12120.40500.13980.04950.18000.54810.12310.35800.13910.05680.20000.54590.12060.31810.13000.06320.23000.54640.11690.258...